Transmission of the 2010 Greek sovereign debt crisis to Asia-Pacific stock markets: A copula-based approach

2023 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Salma Jayech ◽  
Emna Abdennadher
Keyword(s):  
Stock Markets ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Asia Pacific ◽  
Sovereign Debt Crisis

scholarly journals Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

2019 ◽  
Vol 11 (22) ◽  
pp. 6495 ◽  
Author(s):  
Grabowski
Keyword(s):  
Czech Republic ◽  
Euro Area ◽  
Stock Markets ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Developed Countries ◽  
Sovereign Debt Crisis ◽  
The Czech Republic ◽  
Volatility Spillovers ◽  
The Us

In this paper, time-varying co-movements between the stock markets of Poland, the Czech Republic, Hungary, and the capital markets of developed countries in stable and crisis periods are studied. The parameters of the VAR-AGDCC-GARCH (Vector Autoregressive- Asymmetric Generalized Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) model are estimated, and volatility spillovers are calculated. The evidence suggests that the level of correlation between stock return shocks of Central and Eastern European countries increased significantly in the period of financial turmoil and was high in the period of the US sub-prime crisis, as well as during the euro area sovereign debt crisis. After the announcement of the OMT (Outright Monetary Transactions) program, the evolution of the stock market indices in Central and Eastern Europe countries (CEECs) have followed different paths. An analysis of the volatility spillovers indicates that CEECs are the recipients of volatility. In the period of 2004–2019, they received much volatility—from Germany and the US, in particular. They also received much volatility from Spain during the euro area sovereign debt crisis. After 2012, volatility transmission to Poland, the Czech Republic, and Hungary dropped significantly.

scholarly journals The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

2019 ◽  
Vol 11 (14) ◽  
pp. 3985 ◽  
Author(s):  
Simona Moagăr-Poladian ◽  
Dorina Clichici ◽  
Cristian-Valeriu Stanciu
Keyword(s):  
Exchange Rates ◽  
Stock Markets ◽  
Sovereign Debt ◽  
Financial Integration ◽  
Debt Crisis ◽  
Eastern European ◽  
Sovereign Debt Crisis ◽  
European Sovereign Debt Crisis ◽  
Exchange Markets ◽  
Eastern European Countries

This paper analyses the link between exchange rates and stock markets in four Central and Eastern European countries. We simultaneously explore the comovements of foreign exchange markets and stock markets at the cross-country level and the link between these two markets within each country while employing a Dynamic Conditional Correlation Mixed Data Sampling (DCC-MIDAS) model. Such an approach to financial markets conveys a much more visible picture of the existing patterns of financial integration between these markets that would otherwise be neglected. The estimates reveal significant differences between the patterns of correlation in our sample countries. First, the paper finds a quite low degree of convergence between foreign exchange markets, with rising correlations during some of the crisis episodes. Second, both the 2004 European Union enlargement and the European sovereign debt crisis underpin the stock market comovements in the Central and Eastern European countries. Third, the correlations between the exchange rate returns and stock markets rise mostly during the European sovereign debt crisis and to a lesser extent during the global financial crisis, revealing signs of contagion and lower portfolio diversification opportunities. These results are of utmost relevance for the process of financial integration and they also have important implications for policy makers, risk management, and investors.

scholarly journals Seeing the EU from Outside its Borders: Changing Images of Europe

2013 ◽  
Vol 3 (3) ◽  
pp. 3-12 ◽  
Author(s):  
Natalia Chaban ◽  
Martin Holland
Keyword(s):  
Comparative Research ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Asia Pacific ◽  
Pacific Region ◽  
Sovereign Debt Crisis ◽  
Asia Pacific Region ◽  
The Times ◽  
International Branding ◽  
The Eu

Abstract This paper outlines the importance of the studies of EU external perceptions in the Asia-Pacific region in the times of global multipolar redesign and an ongoing eurozone sovereign debt crisis. It links understanding of the concepts of EU external images and EU international ‘branding’ to the conduct of the EU’s foreign policy. The paper also details the methodology of the transnational comparative research project ‘The EU in the Eyes of Asia Pacific’ which informs all contributions to this Issue. The paper then presents those contributions which explore EU external perceptions in nine Asia-Pacific locations, members of the Asia-Europe Meeting (ASEM) process: China, Japan, South Korea, India, Singapore, Thailand, Australia, New Zealand, and Russia.

scholarly journals Cointegration between the European Union and the selected global markets following Sovereign Debt Crisis

2018 ◽  
Vol 15 (1) ◽  
pp. 35-45 ◽  
Author(s):  
Anna Golab ◽  
Ferry Jie ◽  
Robert Powell ◽  
Anna Zamojska
Keyword(s):  
Granger Causality ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Cointegration Analysis ◽  
The Other ◽  
Asia Pacific ◽  
Global Markets ◽  
Sovereign Debt Crisis ◽  
The Us ◽  
The Impact

The purpose of this paper is to provide an analytical analysis of cointegration between Europe and the other significant trading partners, namely US, China, Japan and Australia, for the period from January 1, 2010 to December 30, 2016. This captures the impact of the sovereign European debt crisis and the Greek crisis. A range of parametric techniques were adopted including Johansen cointegration analysis, Vector Error Correction Model and Granger causality. The results of the crisis Granger causality test during the European sovereign crisis implies the highest influence to be that of the US and Japanese stock market over the other four markets. Overall, found that the Asia-Pacific region plus the US stay closely related to each other, while European countries influence all the studied markets except each other. For the post-crisis sub-period, the Granger causality is slightly different. It is observable that the UK and Germany are influencing all the markets. This is probably due to the recent Brexit referendum outcome and potential consequences not only for the EU, but also for the rest of the world too. Overall, the Granger outcome shows the dependence between Europe and other global markets, but there is no European interdependence during the sovereign debt crisis period. It may be concluded that there is a separation of Asian markets from the European markets and even though cointegration exists, the relationship is rather weak.

scholarly journals Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Entropy ◽  
2020 ◽  
Vol 22 (3) ◽  
pp. 338 ◽  
Author(s):  
Sorin Gabriel Anton ◽  
Anca Elena Afloarei Nucu
Keyword(s):  
Emerging Economies ◽  
Stock Markets ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Credit Default Swap ◽  
Transfer Entropy ◽  
Sovereign Debt Crisis ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap

The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008–April 2018. The analysis deploys a Vector Autoregressive model, focusing on the direction of Granger causality between the credit and stock markets. We find evidence of the presence of bidirectional feedback between sovereign CDS and stock markets in CEE countries. The results highlight a transfer entropy of risk from the private to public sector over the whole period and respectively, from the public to private transfer entropy of risk during the European sovereign debt crisis only in Romania and Slovenia. Another finding that deserves particular attention is that the linkage between the CDS spreads and stock markets is time-varying and subject to regime shifts, depending on global financial conditions, such as the sovereign debt crisis. By providing insights on the inter-temporal causality of the comovements of the CDS–stock markets, the paper has significant practical implications for risk management practices and regulatory policies, under different market conditions of European emerging economies.

European Economies Stability Faced With Potential Outburst of Sovereign Debt Crisis. An Empirical Study Using Neural Network

2013 ◽  
Vol 12 (2) ◽  
pp. 3255-3260
Author(s):  
Stelian Stancu ◽  
Alexandra Maria Constantin
Keyword(s):  
Neural Network ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Banking System ◽  
Sovereign Debt Crisis ◽  
European Level ◽  
Continuous Growth ◽  
Economic Context ◽  
European Economies ◽  
The Impact

Instilment, on a European level, of a state incompatible with the state of stability on a macroeconomic level and in the financial-banking system lead to continuous growth of vulnerability of European economies, situated at the verge of an outburst of sovereign debt crises. In this context, the current papers main objective is to produce a study regarding the vulnerability of European economies faced with potential outburst of sovereign debt crisis, which implies quantitative analysis of the impact of sovereign debt on the sensitivity of the European Unions economies. The paper also entails the following specific objectives: completing an introduction in the current European economic context, conceptualization of the notion of “sovereign debt crisis, presenting the methodology and obtained empirical results, as well as exposition of the conclusions.

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